Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 4 | 4 |
| Score | -3.98 | -2.68 | -3.36 |
| Market Cap (Millions USD) | 354.2 | 372.81 | 379.3 |
| Predicted Beta | 0.92 | 0.94 | 0.96 |
| Idiosyncratic Volatility | 2.45 | 3.68 | 5.04 |
Annualized return and volatility
| IYM | |
|---|---|
| Annualized Return | 0.0721 |
| Annualized Std Dev | 0.2573 |
| Annualized Sharpe (Rf=0%) | 0.2801 |
Row
Daily Return Statistics
| IYM | |
|---|---|
| Observations | 4994.0000 |
| NAs | 120.0000 |
| Minimum | -0.1347 |
| Quartile 1 | -0.0069 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1294 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | -0.2959 |
| Kurtosis | 6.9845 |
Downside Risk
| IYM | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6778 |
| Historical VaR (95%) | -0.0246 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0461 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-19 | 2008-11-20 | 2013-12-24 | -0.6778 | 1412 | 111 | 1301 |
| 2002-03-20 | 2002-10-09 | 2003-11-28 | -0.3103 | 438 | 144 | 294 |
| 2014-09-19 | 2016-01-25 | 2016-12-07 | -0.2987 | 569 | 346 | 223 |
| 2001-05-22 | 2001-09-21 | 2002-03-19 | -0.2852 | 208 | 84 | 124 |
| 2018-01-29 | 2018-12-24 | NA | -0.2585 | 490 | 233 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | -0.2 | 0.0 | -1.4 | 4.0 | 0.0 | 2.4 |
| 2001 | 0.5 | -1.1 | 0.0 | -0.3 | -0.4 | 0.0 | -0.5 | 0.0 | -2.1 | 2.0 | 0.0 | 0.0 | -1.9 |
| 2002 | -0.2 | 1.3 | -1.0 | 0.7 | 0.0 | -0.5 | -0.1 | 0.0 | 6.0 | 2.5 | 0.0 | 0.0 | 8.9 |
| 2003 | 0.0 | 0.0 | 0.4 | -0.8 | 0.0 | 0.0 | -0.9 | 0.0 | 1.7 | 0.0 | 2.8 | 0.0 | 3.1 |
| 2004 | 0.0 | 1.4 | 0.4 | 0.0 | 0.2 | -1.9 | 0.0 | 0.2 | 0.6 | 0.2 | 1.2 | 0.0 | 2.3 |
| 2005 | 0.9 | -0.2 | -0.1 | 0.0 | 1.8 | 0.0 | -0.2 | 0.3 | 0.0 | 0.4 | 1.8 | 0.0 | 4.9 |
| 2006 | 0.3 | 1.3 | 0.0 | 1.2 | 1.3 | 0.0 | -0.9 | 1.0 | 0.0 | -1.1 | -0.7 | 0.0 | 2.5 |
| 2007 | 0.9 | -0.8 | 0.0 | -0.7 | 1.3 | 0.0 | -0.2 | 0.0 | 1.5 | -3.4 | 0.0 | 0.0 | -1.5 |
| 2008 | 2.6 | 0.0 | 2.0 | -0.8 | 0.0 | -1.0 | -2.8 | 0.0 | -2.0 | 0.0 | -10.6 | 0.0 | -12.6 |
| 2009 | 0.0 | 0.0 | 3.8 | 1.6 | 4.3 | 0.0 | 0.0 | -2.8 | -4.3 | 0.0 | 1.5 | 0.0 | 3.9 |
| 2010 | 4.6 | 2.1 | 1.9 | 0.0 | -3.8 | -0.6 | 0.0 | 3.4 | 1.5 | 0.2 | 2.7 | 0.0 | 12.5 |
| 2011 | 2.8 | -2.0 | 0.2 | 0.0 | -3.0 | 1.0 | -0.1 | -1.6 | 0.0 | -3.0 | -0.6 | 0.0 | -6.3 |
| 2012 | 1.3 | 0.9 | 0.0 | 0.7 | -2.0 | 0.0 | -0.1 | 0.0 | 0.5 | 2.5 | 0.0 | 0.0 | 3.7 |
| 2013 | 1.3 | -0.4 | -1.4 | -2.1 | 0.0 | 0.9 | 0.6 | 0.0 | 0.4 | -0.1 | 0.0 | 0.0 | -0.9 |
| 2014 | 0.0 | 0.0 | 0.7 | -0.5 | 0.0 | 0.2 | 0.1 | 0.0 | -2.5 | 0.0 | -1.1 | 0.0 | -3.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 1.7 | -0.1 | 0.2 | 0.0 | -3.5 | 0.8 | 0.0 | 0.6 | 0.0 | -0.4 |
| 2016 | 0.2 | 2.5 | 0.8 | 0.0 | 0.4 | 0.3 | -0.3 | 0.4 | 0.0 | -0.6 | -0.1 | 0.0 | 3.6 |
| 2017 | 0.5 | 1.9 | 0.0 | -0.1 | 1.2 | 0.0 | 0.3 | 0.6 | 0.0 | 0.8 | -0.6 | 0.0 | 4.8 |
| 2018 | -1.2 | -0.6 | 0.0 | -0.4 | 1.4 | 0.0 | -1.1 | 0.0 | 0.9 | 3.1 | 0.0 | 0.0 | 1.9 |
| 2019 | 0.6 | -0.2 | 1.6 | -1.9 | 0.0 | 0.6 | -1.0 | 0.0 | -2.3 | 1.8 | 0.0 | 0.1 | -0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
